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We develop tractable semidefinite programming based approximations for distributionally robust individual and joint chance constraints, assuming that only the first- and second-order moments as well as the support of the uncertain parameters are given. It ...
This article investigates the latest developments in longevity-risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of th ...
We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...
The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electric ...
Since the rise of occupational safety and health research on nanomaterials a lot of progress has been made in generating health effects and exposure data. However, when detailed quantitative risk analysis is in question, more research is needed, especially ...
Based on concerns that unconventional gas development is occurring despite much uncertainty about its potential impacts on the environment, climate, economy and society the IRGC offers recommendations relating to assessing and managing risks involved in th ...
We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...
Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic ...
Available risk analysis techniques are well adapted to industry since they were developed for its purpose. All hazards met in industry are also present in research/academia (although quantities of some hazardous substances are smaller). Still, because of i ...
This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both withi ...